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Re: [amibroker] Expectancy Formulas



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The definition of expectancy (E) I'm used to seeing is as follows:
E = Probality of Win*Avg. Win - Probability of Loss * Avg. Loss
Algebraically, this is equivalent to Dimitrov's formula because if you divide the right side of the equation above by Avg. Loss, you get Prob. Win * Avg. Win/Avg. Loss - Prob. of Loss.I've not seen Wong's formula before, but I'm open.
Al Venosaavcinci@xxxx



>From: "Rick Parsons" 
>Reply-To: amibroker@xxxxxxxxxxxxxxx 
>To: 
>Subject: [amibroker] Expectancy Formulas 
>Date: Fri, 18 Oct 2002 10:02:34 -0400 
> 
>There seems to be two different formulas for Expectancy: 
> 
>Payoff Ratio (Ave $win / Ave $loss) = 10.66 
>Percent winners = 98%. 
> 
>From Wong: Expectation = (1 + pay off ratio) * %win - 1 
> -0.23 = (1 + 10.66) * .98 - 1 
>(somehow this doesn't seem right for these system statistics) 
> 
>From Dimitrov: (Avg.Win*PercentProfitable/Avg.Loss - PercentLosing) 
> 
>(should this be: (Avg.Win*PercentProfitable/Avg.Loss * PercentLosing) ?? ) 
> 
>What is the correct formula?? And based on the numbers above, what is the correct expectancy number? 
> 
>Thanks, 
>Rick 
> 


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